2. Citation Analysis and Visualization
2.1. Co-Citation Mapping
Researchers conducted the co-citation analysis using Bibliometrix. The minimum citation threshold was set to 12 and the walk trap algorithm was implemented for citation networking. Researchers obtained three main clusters—red, blue and green—corresponding to asymmetries in market connectedness, major determinants and macroeconomic variables or factors that influence the market connectedness and spillovers, and dynamic market spillover among different markets and sectors, respectively (presented in Figure 1).
To add the element of thematic evolution and to identify the primary focus of research for each cluster, Researchers conducted a content analysis; Researchers extracted the core papers using the PageRank metric and evaluated them to corroborate their linkages and integrity 
. The content analysis revealed that extensive studies have been conducted on oil, which should be given special consideration; thus, Researchers treated them as a distinct stream. The identified streams consist of (1) asymmetries in market connectedness, (2) macro factors that impact market connectedness and spillovers, (3) the role of oil in spillover and hedging portfolios and (4) dynamic cross-market connectedness and spillovers.
2.2. Co-Authorship Visualization
Researchers conducted the co-authorship analysis, with the minimum threshold of three co-authored papers. This provides a unique perspective on the evolution of these research streams over time with these authors 
. The authors do not constitute a vast network; however, the network is pertinent, and the affiliations are strengthening over time. The analysis outcome is depicted in Figure 2
Figure 2. Results of Co-authorship analysis. Source: same as Figure 1.
2.3. Co-Word and Thematic Analysis
Researchers performed co-word analysis followed by thematic analysis to illustrate the evolution of keywords and themes within each stream. Figure 3 depicts the outcome of the keyword analysis, which provides the evolution of keyword usage by the authors and the growth of the current literature over time.
Figure 3. Results of co-word analysis. Source: same as Figure 1.
Researchers employed concepts of centrality and density to identify core keywords. Researchers analyzed their evolution across time and the entire sample period, categorizing the themes into base, motor, isolated, and declining or emerging themes, as shown in Figure 4.
Figure 4. Results of thematic analysis using author’s keywords. Source: same as Figure 1.
3. Content Analysis of the Four Clusters
3.1. Asymmetries in Market Connectedness
analyzed the asymmetries in the forex market of AUD, GBP, CAD, EUR, JPY, and CHF during the 2007–2015 period. The Global Financial Crisis (GFC, 2008) mainly induced good volatility, and Japan became the primary receiver. Ref. 
conducted ARMAX-GARCH to investigate the volatility spillover of the commodity market (energy, industrial metals, precious metals, oil seeds) to the sovereign CDS of 23 emerging and frontier markets and noticed significant but inconsistent transmission over time. However, the results vary over time and commodities that are considered.
verified the statistical properties of asymmetries in return connectedness between the Asian currencies from 1994 to 2019. They proposed that considering the size of the return shock is proportional to connectedness and crucial for the development of rigorous portfolio diversification and policies. The study argues that planning policies and schemes should take into account the prospects of the market’s potential positive and negative asymmetries. According to Ref. 
, policymakers should exercise caution when simultaneously investing in currency and energy markets. Assessment of structural breaks improves a deeper comprehension of the persistent behavior of the market 
Large asymmetric transmission exists between oil and equities, whereas bilateral transmission is negligible. Instead of using historical volatility, Ref. 
argued that implied volatility provides additional information on the connectedness and risk transmission between different markets and countries. Ref. 
demonstrated that China’s and global oil prices are asymmetries. According to Ref. 
, the Asian stock market co-moves without discernible asymmetry between them.
defined asymmetries in OPEC’s announcement as the cut, maintain, and hike decisions and investigated their influence on cereal products. They confirm a significant asymmetric effect of oil and gasoline on cereals over a continuous period, disregarding economic fundamentals and the prices of the commodities; they referred to decisions to make cuts as bad news and decisions to maintain the status quo as good news.
argued that market volatility spillover and asymmetries are crucial when constructing hedge ratios and optimal portfolios. However, in accordance with Ref. 
, market connectedness is not extremely susceptible to information spillover among the ASEAN markets.
3.2. Macro Factors Impact on Market Connectedness and Spillovers
demonstrated that market size does not play a significant role in market integration. After removing the effects of the global market, they discovered that the level of connectedness drops drastically. Refs. 
showed that capital account restrictions, exchange restrictions, and capital control play a unique role in the integration and information dissemination among the markets. Different regimes (tax, size, stability, technological advancements) have distinct effects on connectedness.
supported the notion of flight-to-quality, i.e., shifting to safe haven assets during times of crisis. In his study, VIX is considered the ideal hedging instrument and unconditional against developed markets where currency treasuries (likely Yen and USD) are contingent on the market conditions. For developed markets, the safe haven assets exhibit relatively low-risk exposure, less than unity; however, this exposure increased during the GFC. As per Ref. 
, the macroeconomic developments in the European Economic and Monetary Union (EMU) initiates the bond–stock market integration.
asserted that arbitrage plays a vital role when the oil market’s prices are below the threshold level by using the threshold VECM, and defined these threshold effects as originating from the transaction cost. Ref. 
advocated four linkages, which are economic, financial, information capacity, and industrial similarity, and revealed that information capacity and industrial similarity are highly prone to developed markets whereas economic and financial integration are crucial in developing and developed markets.
provided evidence that future trading impacts the spot stock prices but not the futures spreads, and the impact is not due to the exogenous factors but rather to broad market factors. Ref. 
added that during extreme events, the currency carry trade and stock markets affect each other, i.e., a bilateral spillover exists in times of events.
EPU has an enormous impact when the stock market confronts downside risk. When stimulative schemes are enacted, the upside risk is sensitive to the EPU but shifts in the opposite direction regarding disputes or contagion 
. However, Ref. 
observed that EPU’s effect on dynamic connectedness is regime-dependent.
3.3. Role of Oil in Market Spillovers and Hedging
stated that the influence of natural gas has not received less attention compared to crude oil, despite the former having environmental benefits. They found an optimal hedging ratio between stocks and oil and natural gas, i.e., a dollar invested in stock should be hedged with a cent in natural gas futures or short selling of the oil futures. When equities possess significant asymmetries, they found that Indian investors tend to favor natural gas over oil for hedging. Similarly, as per 
, a dollar in Brent crude oil should be hedged with 10 cents in DJASIA and 30 cents in Italy stocks. In this regard, the hedging is contingent on the time horizon, and the uncertainty depends on the contingents. They observed that during ESDC, hedging is more costly than during the GFC and oil price bursts. Higher oil prices can affect vulnerable economies, break the exchange rates, and deteriorate the performance of the stock returns. It is also emphasized that higher oil prices improve the oil-exporting countries’ fiscal stability.
enriched the literature by filling the gap by examining the impact of the oil volatility on the stocks of heavy oil importing countries; he found that oil played a significant role post-crisis (GFC). The oil volatility had little effect on Lebanon, a country which is dominated by banking and services, whereas Jordan has shown a significant response to the oil shocks. The presence of foreign investors influenced small countries such as Morocco and Tunisia.
analyzed the oil and exchange rate connectedness and spillover of the major oil exporting and importing countries. He segregated the oil shocks into demand, supply and risk following 
segregation. The study found that the demand and risk shock significantly affect the exchange rates and increase after the crisis; the author asserts these phenomena possess potential forecasting advantages that can be used to construct an international hedging portfolio. He states that it is also important for policymakers to pursue oil shocks for trade balance as part of macro-level regulation and policing.
tried to capture the role of exogenous shocks on the information transmission of the oil–equity uncertainty index. They figured that the exogenous shocks impacted the volatility spillovers between the oil and equity uncertainty index post-crisis but was insignificant pre-crisis. Ref. 
found that the exchange rates and interest rates and the oil prices co-move over time, and the important oil importing and exporting countries’ exchange rates were affected by the crude oil, and importing countries were affected relatively higher than exporting countries in their study. They noted that the rise in oil prices results in exchange rate appreciation.
3.4. Dynamic Cross-Markets Connectedness and Spillover
found that the level of cross-market integration within the ASEAN market is not as high as is commonly perceived when considering the global market influence; the interconnectedness is relatively low. They noticed that the cross-market connectedness decreases when the world market factors are filtered out. Ref. 
demonstrated that the dynamic model (DCC) captures the asymmetries in the market better compared to the constant model (CCC). In their sample, oil serves a crucial role in cross-market spillovers. Studies have considered the dynamic models for cross-market analysis to incorporate the geopolitical risk that transits into the world market systems 
. In addition, they analyzed the geopolitical risks of BRICS, oil, and gold and found that they varied over time and frequency frame and intensified in the short term. For short-term investors, the impact of the geopolitical risk has to be the main focal element, as the study stated that the GFC and the Ukrainian crisis caused numerous spikes in the spillover. They have stated that gold and oil have a hedging function during geopolitical events, and the oil–gold nexus has to be the main concern for the hedgers.
In the crypto market, investors are not only acclimated to positive returns. Ref. 
noticed that the general notion of Bitcoin does not apply to crypto market connectedness, and Bitcoin has transitioned from a net contributor to a net receiver over time. At the same time, other significant currencies entered the market, and Litecoin became the epicenter of connectedness. Studies have observed that if return and trading volumes are connected, there is a significant linkage between the return connectedness and the trading volume; however, Ref. 
asserted that the volatility of Bitcoin exchange markets depends on the asset’s withdrawal rather than the trading volume. Ref. 
demonstrated that the LME nonferrous metal futures impact SFE nonferrous metal and added that the GFC intensified the impact pattern. Ref. 
observed bond and stock integration and discussed the reason why it is happening. They pointed out that international bond and stock integration are typically characterized by dynamism. In the event that monetary policies play a role in these linkages, bonds usually have the upper hand.
found shreds of evidence in the spillover from the developed stock market to the emerging market; however, the linkage is tenuous. Studies found that Asian countries’ stock markets exhibit co-movements and strengthened after the impact of the GFC. However, the interaction between Asia and the US was minimal, and hardly any co-movements ensued. Ref. 
found that the asymmetry transmission can be discerned as stabilizing unit between the stock markets and should be regarded as a hedging tool. He found a degree of transmission between the developed markets and the emerging Asian markets.